@article{econhot_econhot-reading-21, title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation}, author = {Robert F. Engle}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {4}, pages = {987}, doi = {10.2307/1912773}, url = {https://doi.org/10.2307/1912773} } @article{econhot_econhot-reading-22, title = {Co-Integration and Error Correction: Representation, Estimation, and Testing}, author = {Robert F. Engle and C. W. J. Granger}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {2}, pages = {251}, doi = {10.2307/1913236}, url = {https://doi.org/10.2307/1913236} } @article{econhot_econhot-reading-24, title = {Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models}, author = {Soren Johansen}, journal = {Econometrica}, year = {1991}, volume = {59}, number = {6}, pages = {1551}, doi = {10.2307/2938278}, url = {https://doi.org/10.2307/2938278} } @article{econhot_econhot-reading-37, title = {Pooled Mean Group Estimation of Dynamic Heterogeneous Panels}, author = {M. Hashem Pesaran and Yongcheol Shin and Ron P. Smith}, journal = {Journal of the American Statistical Association}, year = {1999}, volume = {94}, number = {446}, pages = {621-634}, doi = {10.1080/01621459.1999.10474156}, url = {https://doi.org/10.1080/01621459.1999.10474156} } @article{econhot_econhot-reading-38, title = {Macroeconomics and Reality}, author = {Christopher A. Sims}, journal = {Econometrica}, year = {1980}, volume = {48}, number = {1}, pages = {1}, doi = {10.2307/1912017}, url = {https://doi.org/10.2307/1912017} } @article{econhot_econhot-reading-39, title = {Estimation and Inference of Impulse Responses by Local Projections}, author = {Òscar Jordà}, journal = {American Economic Review}, year = {2005}, volume = {95}, number = {1}, pages = {161-182}, doi = {10.1257/0002828053828518}, url = {https://doi.org/10.1257/0002828053828518} } @article{econhot_econhot-reading-40, title = {Forecasting Using Principal Components From a Large Number of Predictors}, author = {James H Stock and Mark W Watson}, journal = {Journal of the American Statistical Association}, year = {2002}, volume = {97}, number = {460}, pages = {1167-1179}, doi = {10.1198/016214502388618960}, url = {https://doi.org/10.1198/016214502388618960} } @article{econhot_econhot-reading-43, title = {The Generalized Dynamic-Factor Model: Identification and Estimation}, author = {Mario Forni and Marc Hallin and Marco Lippi and Lucrezia Reichlin}, journal = {Review of Economics and Statistics}, year = {2000}, volume = {82}, number = {4}, pages = {540-554}, doi = {10.1162/003465300559037}, url = {https://doi.org/10.1162/003465300559037} } @article{econhot_econhot-reading-44, title = {Comparing Predictive Accuracy}, author = {Francis X. Diebold and Roberto S. Mariano}, journal = {Journal of Business \& Economic Statistics}, year = {1995}, volume = {13}, number = {3}, pages = {253-263}, doi = {10.1080/07350015.1995.10524599}, url = {https://doi.org/10.1080/07350015.1995.10524599} } @article{econhot_econhot-reading-45, title = {Tests of Conditional Predictive Ability}, author = {Raffaella Giacomini and Halbert White}, journal = {Econometrica}, year = {2006}, volume = {74}, number = {6}, pages = {1545-1578}, doi = {10.1111/j.1468-0262.2006.00718.x}, url = {https://doi.org/10.1111/j.1468-0262.2006.00718.x} } @article{econhot_econhot-reading-46, title = {Estimating and Testing Linear Models with Multiple Structural Changes}, author = {Jushan Bai and Pierre Perron}, journal = {Econometrica}, year = {1998}, volume = {66}, number = {1}, pages = {47}, doi = {10.2307/2998540}, url = {https://doi.org/10.2307/2998540} } @article{econhot_econhot-reading-47, title = {A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle}, author = {James D. Hamilton}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {2}, pages = {357}, doi = {10.2307/1912559}, url = {https://doi.org/10.2307/1912559} } @article{econhot_econhot-reading-61, title = {Regression Shrinkage and Selection Via the Lasso}, author = {Robert Tibshirani}, journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology}, year = {1996}, volume = {58}, number = {1}, pages = {267-288}, doi = {10.1111/j.2517-6161.1996.tb02080.x}, url = {https://doi.org/10.1111/j.2517-6161.1996.tb02080.x} } @article{econhot_econhot-reading-65, title = {Bayesian Multivariate Time Series Methods for Empirical Macroeconomics}, author = {Gary Koop and Dimitris Korobilis}, journal = {Foundations and Trends® in Econometrics}, year = {2010}, volume = {3}, number = {4}, pages = {267-358}, doi = {10.1561/0800000013}, url = {https://doi.org/10.1561/0800000013} } @article{econhot_econhot-reading-66, title = {On Gibbs sampling for state space models}, author = {C. K. CARTER and R. KOHN}, journal = {Biometrika}, year = {1994}, volume = {81}, number = {3}, pages = {541-553}, doi = {10.1093/biomet/81.3.541}, url = {https://doi.org/10.1093/biomet/81.3.541} } @article{econhot_econhot-reading-67, title = {Drifts and volatilities: monetary policies and outcomes in the post WWII US}, author = {Timothy Cogley and Thomas J. Sargent}, journal = {Review of Economic Dynamics}, year = {2005}, volume = {8}, number = {2}, pages = {262-302}, doi = {10.1016/j.red.2004.10.009}, url = {https://doi.org/10.1016/j.red.2004.10.009} } @article{econhot_econhot-cited-c0ff713625f3ef0b, title = {Investigating Causal Relations by Econometric Models and Cross-spectral Methods}, author = {Clive W. J. Granger}, journal = {Econometrica}, year = {1969}, volume = {37}, number = {3}, pages = {424}, doi = {10.2307/1912791}, url = {https://doi.org/10.2307/1912791} } @article{econhot_econhot-cited-7cde629632c85ad9, title = {Distribution of the Estimators for Autoregressive Time Series with a Unit Root}, author = {David Alan Dickey and Wayne Arthur Fuller}, journal = {Journal of the American Statistical Association}, year = {1979}, volume = {74}, number = {366a}, pages = {427-431}, doi = {10.1080/01621459.1979.10482531}, url = {https://doi.org/10.1080/01621459.1979.10482531} } @article{econhot_econhot-cited-4807d46cd718341d, title = {Testing for a unit root in time series regression}, author = {Peter C.B. Phillips and Pierre Perrón}, journal = {Biometrika}, year = {1988}, volume = {75}, number = {2}, pages = {335-346}, doi = {10.1093/biomet/75.2.335}, url = {https://doi.org/10.1093/biomet/75.2.335} } @article{econhot_econhot-cited-364b637a88e12857, title = {Statistical analysis of cointegration vectors}, author = {Søren Johansen}, journal = {Journal of Economic Dynamics and Control}, year = {1988}, volume = {12}, number = {2-3}, pages = {231-254}, doi = {10.1016/0165-1889(88)90041-3}, url = {https://doi.org/10.1016/0165-1889(88)90041-3} } @article{econhot_econhot-cited-091c878406b1ab86, title = {Testing for unit roots in heterogeneous panels}, author = {Kyung So Im and M. Hashem Pesaran and Yongcheol Shin}, journal = {Journal of Econometrics}, year = {2003}, volume = {115}, number = {1}, pages = {53-74}, doi = {10.1016/s0304-4076(03)00092-7}, url = {https://doi.org/10.1016/s0304-4076(03)00092-7} } @article{econhot_econhot-cited-435ae349022cfc55, title = {Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root}, author = {David Alan Dickey and Wayne Arthur Fuller}, journal = {Econometrica}, year = {1981}, volume = {49}, number = {4}, pages = {1057}, doi = {10.2307/1912517}, url = {https://doi.org/10.2307/1912517} } @article{econhot_econhot-cited-e669616688eda73b, title = {MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY}, author = {Søren Johansen and Katarina Jusélius}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1990}, volume = {52}, number = {2}, pages = {169-210}, doi = {10.1111/j.1468-0084.1990.mp52002003.x}, url = {https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x} } @article{econhot_econhot-cited-d854521f67a340a3, title = {Unit root tests in panel data: asymptotic and finite-sample properties}, author = {Andrew Levin and Chien‐Fu Lin and Chia-Shang James Chu}, journal = {Journal of Econometrics}, year = {2002}, volume = {108}, number = {1}, pages = {1-24}, doi = {10.1016/s0304-4076(01)00098-7}, url = {https://doi.org/10.1016/s0304-4076(01)00098-7} } @article{econhot_econhot-cited-7c7fac91d5972fff, title = {Testing the null hypothesis of stationarity against the alternative of a unit root}, author = {Denis Kwiatkowski and Peter C.B. Phillips and Peter Schmidt and Yongcheol Shin}, journal = {Journal of Econometrics}, year = {1992}, volume = {54}, number = {1-3}, pages = {159-178}, doi = {10.1016/0304-4076(92)90104-y}, url = {https://doi.org/10.1016/0304-4076(92)90104-y} } @article{econhot_econhot-cited-ac52faf2d7e79a8c, title = {A simple panel unit root test in the presence of cross‐section dependence}, author = {M. Hashem Pesaran}, journal = {Journal of Applied Econometrics}, year = {2007}, volume = {22}, number = {2}, pages = {265-312}, doi = {10.1002/jae.951}, url = {https://doi.org/10.1002/jae.951} } @article{econhot_econhot-cited-1e69a752fc839ef8, title = {Cross-Validatory Choice and Assessment of Statistical Predictions}, author = {Marla Stone}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1974}, volume = {36}, number = {2}, pages = {111-133}, doi = {10.1111/j.2517-6161.1974.tb00994.x}, url = {https://doi.org/10.1111/j.2517-6161.1974.tb00994.x} } @article{econhot_econhot-cited-ae61d95ff862a3a1, title = {Illiquidity and stock returns: cross-section and time-series effects}, author = {Yakov Amihud}, journal = {Journal of Financial Markets}, year = {2002}, volume = {5}, number = {1}, pages = {31-56}, doi = {10.1016/s1386-4181(01)00024-6}, url = {https://doi.org/10.1016/s1386-4181(01)00024-6} } @article{econhot_econhot-cited-2c857885e149a63c, title = {The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis}, author = {Pierre Perrón}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {6}, pages = {1361}, doi = {10.2307/1913712}, url = {https://doi.org/10.2307/1913712} } @article{econhot_econhot-cited-06d2ea0e2903a2d9, title = {A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test}, author = {Gangadharrao S. Maddala and Shaowen Wu}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1999}, volume = {61}, number = {S1}, pages = {631-652}, doi = {10.1111/1468-0084.0610s1631}, url = {https://doi.org/10.1111/1468-0084.0610s1631} } @article{econhot_econhot-cited-78445486f44f941a, title = {PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS}, author = {Peter L. Pedroni}, journal = {Econometric Theory}, year = {2004}, volume = {20}, number = {03}, doi = {10.1017/s0266466604203073}, url = {https://doi.org/10.1017/s0266466604203073} } @article{econhot_econhot-cited-d7cfff5e821534ce, title = {Spurious regressions in econometrics}, author = {Clive W. J. Granger and Paul Newbold}, journal = {Journal of Econometrics}, year = {1974}, volume = {2}, number = {2}, pages = {111-120}, doi = {10.1016/0304-4076(74)90034-7}, url = {https://doi.org/10.1016/0304-4076(74)90034-7} } @article{econhot_econhot-cited-20dbe53a0c60a34b, title = {Generalized impulse response analysis in linear multivariate models}, author = {M. Hashem Pesaran and Yongcheol Shin}, journal = {Economics Letters}, year = {1998}, volume = {58}, number = {1}, pages = {17-29}, doi = {10.1016/s0165-1765(97)00214-0}, url = {https://doi.org/10.1016/s0165-1765(97)00214-0} } @article{econhot_econhot-cited-b5f4f30389993beb, title = {On a measure of lack of fit in time series models}, author = {Greta M. Ljung and George E. P. Box}, journal = {Biometrika}, year = {1978}, volume = {65}, number = {2}, pages = {297-303}, doi = {10.1093/biomet/65.2.297}, url = {https://doi.org/10.1093/biomet/65.2.297} } @article{econhot_econhot-cited-c5e9618ae8e1d28b, title = {Statistical inference in vector autoregressions with possibly integrated processes}, author = {Hiro Y. Toda and Taku Yamamoto}, journal = {Journal of Econometrics}, year = {1995}, volume = {66}, number = {1-2}, pages = {225-250}, doi = {10.1016/0304-4076(94)01616-8}, url = {https://doi.org/10.1016/0304-4076(94)01616-8} } @article{econhot_econhot-cited-17220e127d13190c, title = {Testing for Error Correction in Panel Data*}, author = {Joakim Westerlund}, journal = {Oxford Bulletin of Economics and Statistics}, year = {2007}, volume = {69}, number = {6}, pages = {709-748}, doi = {10.1111/j.1468-0084.2007.00477.x}, url = {https://doi.org/10.1111/j.1468-0084.2007.00477.x} } @article{econhot_econhot-cited-133d9b3371976a32, title = {Testing for Granger non-causality in heterogeneous panels}, author = {Elena-Ivona Dumitrescu and Christophe Hurlin}, journal = {Economic Modelling}, year = {2012}, volume = {29}, number = {4}, pages = {1450-1460}, doi = {10.1016/j.econmod.2012.02.014}, url = {https://doi.org/10.1016/j.econmod.2012.02.014} } @article{econhot_econhot-cited-4c03d0068b5f9dd7, title = {Computation and analysis of multiple structural change models}, author = {Jushan Bai and Pierre Perrón}, journal = {Journal of Applied Econometrics}, year = {2002}, volume = {18}, number = {1}, pages = {1-22}, doi = {10.1002/jae.659}, url = {https://doi.org/10.1002/jae.659} } @article{econhot_econhot-cited-8c7773d6f6aa80af, title = {Spurious regression and residual-based tests for cointegration in panel data}, author = {Chihwa D. Kao}, journal = {Journal of Econometrics}, year = {1999}, volume = {90}, number = {1}, pages = {1-44}, doi = {10.1016/s0304-4076(98)00023-2}, url = {https://doi.org/10.1016/s0304-4076(98)00023-2} } @article{econhot_econhot-cited-fec08c4f74122fae, title = {Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis}, author = {Eric W. Zivot and Donald W. K. Andrews}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {1}, pages = {25-44}, doi = {10.1198/073500102753410372}, url = {https://doi.org/10.1198/073500102753410372} } @article{econhot_econhot-cited-f99a8bb3a825362b, title = {Another look at measures of forecast accuracy}, author = {Rob J. Hyndman and Anne B. Koehler}, journal = {International Journal of Forecasting}, year = {2006}, volume = {22}, number = {4}, pages = {679-688}, doi = {10.1016/j.ijforecast.2006.03.001}, url = {https://doi.org/10.1016/j.ijforecast.2006.03.001} } @article{econhot_econhot-cited-fd4dbce2ac211527, title = {Efficient Tests for an Autoregressive Unit Root}, author = {Graham Elliott and Thomas J. Rothenberg and James H. Stock}, journal = {Econometrica}, year = {1996}, volume = {64}, number = {4}, pages = {813}, doi = {10.2307/2171846}, url = {https://doi.org/10.2307/2171846} } @article{econhot_econhot-cited-f410da163830bc14, title = {On the Pooling of Time Series and Cross Section Data}, author = {Yair Mundlak}, journal = {Econometrica}, year = {1978}, volume = {46}, number = {1}, pages = {69}, doi = {10.2307/1913646}, url = {https://doi.org/10.2307/1913646} } @article{econhot_econhot-cited-523ddd051659bb34, title = {Threshold effects in non-dynamic panels: Estimation, testing, and inference}, author = {Bruce E. Hansen}, journal = {Journal of Econometrics}, year = {1999}, volume = {93}, number = {2}, pages = {345-368}, doi = {10.1016/s0304-4076(99)00025-1}, url = {https://doi.org/10.1016/s0304-4076(99)00025-1} } @article{econhot_econhot-cited-f2f5ab13b5a3eb50, title = {Impulse response analysis in nonlinear multivariate models}, author = {Gary M. Koop and M. Hashem Pesaran and Simon Potter}, journal = {Journal of Econometrics}, year = {1996}, volume = {74}, number = {1}, pages = {119-147}, doi = {10.1016/0304-4076(95)01753-4}, url = {https://doi.org/10.1016/0304-4076(95)01753-4} } @article{econhot_econhot-cited-7d98e98ce1473347, title = {A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems}, author = {James H. Stock and Mark W. Watson}, journal = {Econometrica}, year = {1993}, volume = {61}, number = {4}, pages = {783}, doi = {10.2307/2951763}, url = {https://doi.org/10.2307/2951763} } @article{econhot_econhot-cited-aac8b835c06c7ecc, title = {The Cross‐Section of Volatility and Expected Returns}, author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang}, journal = {The Journal of Finance}, year = {2006}, volume = {61}, number = {1}, pages = {259-299}, doi = {10.1111/j.1540-6261.2006.00836.x}, url = {https://doi.org/10.1111/j.1540-6261.2006.00836.x} } @article{econhot_econhot-cited-bd6061746335781e, title = {Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors}, author = {Peter L. Pedroni}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1999}, volume = {61}, number = {s1}, pages = {653-670}, doi = {10.1111/1468-0084.61.s1.14}, url = {https://doi.org/10.1111/1468-0084.61.s1.14} } @article{econhot_econhot-cited-1772b4c762056741, title = {Trends and random walks in macroeconmic time series}, author = {Charles R. Nelson and Charles I. Plosser}, journal = {Journal of Monetary Economics}, year = {1982}, volume = {10}, number = {2}, pages = {139-162}, doi = {10.1016/0304-3932(82)90012-5}, url = {https://doi.org/10.1016/0304-3932(82)90012-5} } @article{econhot_econhot-cited-b6b1323c72f66759, title = {Tests for Parameter Instability and Structural Change With Unknown Change Point}, author = {Donald W. K. Andrews}, journal = {Econometrica}, year = {1993}, volume = {61}, number = {4}, pages = {821}, doi = {10.2307/2951764}, url = {https://doi.org/10.2307/2951764} } @article{econhot_econhot-cited-b5f22ea2700bc853, title = {Estimating Vector Autoregressions with Panel Data}, author = {Douglas Holtz‐Eakin and Whitney K. Newey and Harvey S. Rosen}, journal = {Econometrica}, year = {1988}, volume = {56}, number = {6}, pages = {1371}, doi = {10.2307/1913103}, url = {https://doi.org/10.2307/1913103} } @article{econhot_econhot-cited-cd4793cbadb238ff, title = {Forecasting with artificial neural networks:}, author = {Guoqiang Zhang and B. Eddy Patuwo and Michael Y. Hu}, journal = {International Journal of Forecasting}, year = {1998}, volume = {14}, number = {1}, pages = {35-62}, doi = {10.1016/s0169-2070(97)00044-7}, url = {https://doi.org/10.1016/s0169-2070(97)00044-7} } @article{econhot_econhot-cited-ef136ea217fa9702, title = {Unit root tests for panel data}, author = {In Ae Choi}, journal = {Journal of International Money and Finance}, year = {2001}, volume = {20}, number = {2}, pages = {249-272}, doi = {10.1016/s0261-5606(00)00048-6}, url = {https://doi.org/10.1016/s0261-5606(00)00048-6} } @article{econhot_econhot-cited-2352bbd91907847b, title = {LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power}, author = {Serena Ng and Pierre Perrón}, journal = {Econometrica}, year = {2001}, volume = {69}, number = {6}, pages = {1519-1554}, doi = {10.1111/1468-0262.00256}, url = {https://doi.org/10.1111/1468-0262.00256} } @article{econhot_econhot-cited-20c43eac86f99784, title = {Automatic Time Series Forecasting: The forecast Package for R}, author = {Rob J. Hyndman and Yeasmin Khandakar}, journal = {Journal of Statistical Software}, year = {2008}, volume = {27}, number = {3}, doi = {10.18637/jss.v027.i03}, url = {https://doi.org/10.18637/jss.v027.i03} } @article{econhot_econhot-cited-7a1946c168f3862a, title = {The saving and investment nexus for China: evidence from cointegration tests}, author = {Paresh Kumar Narayan}, journal = {Applied Economics}, year = {2005}, volume = {37}, number = {17}, pages = {1979-1990}, doi = {10.1080/00036840500278103}, url = {https://doi.org/10.1080/00036840500278103} } @article{econhot_econhot-cited-e5bcd09a6242be23, title = {AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING}, author = {Clive W. J. Granger and Roselyne Joyeux}, journal = {Journal of Time Series Analysis}, year = {1980}, volume = {1}, number = {1}, pages = {15-29}, doi = {10.1111/j.1467-9892.1980.tb00297.x}, url = {https://doi.org/10.1111/j.1467-9892.1980.tb00297.x} } @article{econhot_econhot-cited-287bc71cb6afdbb2, title = {Testing for unit roots in autoregressive-moving average models of unknown order}, author = {Saïd E. Saïd and David Alan Dickey}, journal = {Biometrika}, year = {1984}, volume = {71}, number = {3}, pages = {599-607}, doi = {10.1093/biomet/71.3.599}, url = {https://doi.org/10.1093/biomet/71.3.599} } @article{econhot_econhot-cited-24cbca220c08a8e9, title = {Numerical distribution functions for unit root and cointegration tests}, author = {James G. MacKinnon}, journal = {Journal of Applied Econometrics}, year = {1996}, volume = {11}, number = {6}, pages = {601-618}, doi = {10.1002/(sici)1099-1255(199611)11:6<601::aid-jae417>3.0.co;2-t}, url = {https://doi.org/10.1002/(sici)1099-1255(199611)11:6\%3C601::aid-jae417\%3E3.0.co;2-t} } @article{econhot_econhot-cited-b6f5db4bb9df5fb2, title = {The Determination of the Order of an Autoregression}, author = {E. J. Hannan and Barry G. Quinn}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1979}, volume = {41}, number = {2}, pages = {190-195}, doi = {10.1111/j.2517-6161.1979.tb01072.x}, url = {https://doi.org/10.1111/j.2517-6161.1979.tb01072.x} } @article{econhot_econhot-cited-b8a08a9c15df3423, title = {Testing for stationarity in heterogeneous panel data}, author = {Kaddour Hadri}, journal = {Econometrics Journal}, year = {2000}, volume = {3}, number = {2}, pages = {148-161}, doi = {10.1111/1368-423x.00043}, url = {https://doi.org/10.1111/1368-423x.00043} } @article{econhot_econhot-cited-ba3a05819333813c, title = {Temporal Fusion Transformers for interpretable multi-horizon time series forecasting}, author = {Bryan Y. Lim and Sercan Ö. Arık and Nicolas Loeff and Tomas Pfister}, journal = {International Journal of Forecasting}, year = {2021}, volume = {37}, number = {4}, pages = {1748-1764}, doi = {10.1016/j.ijforecast.2021.03.012}, url = {https://doi.org/10.1016/j.ijforecast.2021.03.012} } @article{econhot_econhot-cited-a7d6c384e7ad214b, title = {Time Varying Structural Vector Autoregressions and Monetary Policy}, author = {Giorgio E. Primiceri}, journal = {The Review of Economic Studies}, year = {2005}, volume = {72}, number = {3}, pages = {821-852}, doi = {10.1111/j.1467-937x.2005.00353.x}, url = {https://doi.org/10.1111/j.1467-937x.2005.00353.x} } @article{econhot_econhot-cited-ea47b2fcc052d5d8, title = {Some recent development in a concept of causality}, author = {Clive W. J. Granger}, journal = {Journal of Econometrics}, year = {1988}, volume = {39}, number = {1-2}, pages = {199-211}, doi = {10.1016/0304-4076(88)90045-0}, url = {https://doi.org/10.1016/0304-4076(88)90045-0} } @article{econhot_econhot-cited-5df8e85579d29fc2, title = {THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS}, author = {John F Geweke and Susan Porter‐Hudak}, journal = {Journal of Time Series Analysis}, year = {1983}, volume = {4}, number = {4}, pages = {221-238}, doi = {10.1111/j.1467-9892.1983.tb00371.x}, url = {https://doi.org/10.1111/j.1467-9892.1983.tb00371.x} } @article{econhot_econhot-cited-fd56caf33fd3381a, title = {Sample Splitting and Threshold Estimation}, author = {Bruce E. Hansen}, journal = {Econometrica}, year = {2000}, volume = {68}, number = {3}, pages = {575-603}, doi = {10.1111/1468-0262.00124}, url = {https://doi.org/10.1111/1468-0262.00124} } @article{econhot_econhot-cited-1db63ef8f689a7be, title = {Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series}, author = {Marianne Baxter and Robert G. King}, journal = {The Review of Economics and Statistics}, year = {1999}, volume = {81}, number = {4}, pages = {575-593}, doi = {10.1162/003465399558454}, url = {https://doi.org/10.1162/003465399558454} } @article{econhot_econhot-cited-661373fef668c0ab, title = {Time Series Regression with a Unit Root}, author = {P. C. B. Phillips}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {2}, pages = {277}, doi = {10.2307/1913237}, url = {https://doi.org/10.2307/1913237} } @article{econhot_econhot-cited-d89ddca72de0cdaa, title = {Evaluating Interval Forecasts}, author = {Peter Christoffersen}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {841}, doi = {10.2307/2527341}, url = {https://doi.org/10.2307/2527341} } @article{econhot_econhot-cited-075b7e050b588bdb, title = {DeepAR: Probabilistic forecasting with autoregressive recurrent networks}, author = {David Salinas and Valentín Flunkert and Jan Gasthaus and Tim Januschowski}, journal = {International Journal of Forecasting}, year = {2019}, volume = {36}, number = {3}, pages = {1181-1191}, doi = {10.1016/j.ijforecast.2019.07.001}, url = {https://doi.org/10.1016/j.ijforecast.2019.07.001} } @article{econhot_econhot-cited-fe255be7523a9611, title = {Macroeconomic Forecasting Using Diffusion Indexes}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {2}, pages = {147-162}, doi = {10.1198/073500102317351921}, url = {https://doi.org/10.1198/073500102317351921} } @article{econhot_econhot-cited-67d15226c66d510e, title = {A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return}, author = {Tim Bollerslev}, journal = {The Review of Economics and Statistics}, year = {1987}, volume = {69}, number = {3}, pages = {542}, doi = {10.2307/1925546}, url = {https://doi.org/10.2307/1925546} } @article{econhot_econhot-cited-79a729e4bbfe40fb, title = {A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1}, author = {Michael Osterwald‐Lenum}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1992}, volume = {54}, number = {3}, pages = {461-472}, doi = {10.1111/j.1468-0084.1992.tb00013.x}, url = {https://doi.org/10.1111/j.1468-0084.1992.tb00013.x} } @article{econhot_econhot-cited-f4bbe0a36b3fdf94, title = {Inference in Linear Time Series Models with some Unit Roots}, author = {Christopher A. Sims and James H. Stock and Mark W. Watson}, journal = {Econometrica}, year = {1990}, volume = {58}, number = {1}, pages = {113}, doi = {10.2307/2938337}, url = {https://doi.org/10.2307/2938337} } @article{econhot_econhot-cited-01d8ef4e4f95d9b6, title = {DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES}, author = {Clive W. J. Granger}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1986}, volume = {48}, number = {3}, pages = {213-228}, doi = {10.1111/j.1468-0084.1986.mp48003002.x}, url = {https://doi.org/10.1111/j.1468-0084.1986.mp48003002.x} } @article{econhot_econhot-cited-ce09936f433dad76, title = {The Predictive Sample Reuse Method with Applications}, author = {Seymour Geisser}, journal = {Journal of the American Statistical Association}, year = {1975}, volume = {70}, number = {350}, pages = {320-328}, doi = {10.1080/01621459.1975.10479865}, url = {https://doi.org/10.1080/01621459.1975.10479865} } @article{econhot_econhot-cited-a10a52a87988acbe, title = {Residual-based tests for cointegration in models with regime shifts}, author = {Allan W. Gregory and Bruce E. Hansen}, journal = {Journal of Econometrics}, year = {1996}, volume = {70}, number = {1}, pages = {99-126}, doi = {10.1016/0304-4076(69)41685-7}, url = {https://doi.org/10.1016/0304-4076(69)41685-7} } @article{econhot_econhot-cited-cb2c7188abe1c1a1, title = {Approximately normal tests for equal predictive accuracy in nested models}, author = {Todd E. Clark and Kenneth D. West}, journal = {Journal of Econometrics}, year = {2006}, volume = {138}, number = {1}, pages = {291-311}, doi = {10.1016/j.jeconom.2006.05.023}, url = {https://doi.org/10.1016/j.jeconom.2006.05.023} } @article{econhot_econhot-cited-c5a38cbaabf1f54d, title = {Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative}, author = {Donald W. K. Andrews and Werner Ploberger}, journal = {Econometrica}, year = {1994}, volume = {62}, number = {6}, pages = {1383}, doi = {10.2307/2951753}, url = {https://doi.org/10.2307/2951753} } @article{econhot_econhot-cited-bf88f40fe51f58ce, title = {The Stationary Bootstrap}, author = {Dimitris N. Politis and Joseph P. Romano}, journal = {Journal of the American Statistical Association}, year = {1994}, volume = {89}, number = {428}, pages = {1303-1313}, doi = {10.1080/01621459.1994.10476870}, url = {https://doi.org/10.1080/01621459.1994.10476870} } @article{econhot_econhot-cited-e4ef83d0ca55dc7d, title = {Forecasting at Scale}, author = {Sean J. Taylor and Benjamin Letham}, journal = {The American Statistician}, year = {2017}, volume = {72}, number = {1}, pages = {37-45}, doi = {10.1080/00031305.2017.1380080}, url = {https://doi.org/10.1080/00031305.2017.1380080} } @article{econhot_econhot-cited-a2fb922676c37c42, title = {Trends and random walks in macroeconomic time series}, author = {Pierre Perrón}, journal = {Journal of Economic Dynamics and Control}, year = {1988}, volume = {12}, number = {2-3}, pages = {297-332}, doi = {10.1016/0165-1889(88)90043-7}, url = {https://doi.org/10.1016/0165-1889(88)90043-7} } @article{econhot_econhot-cited-322e82958305d1d1, title = {Some properties of time series data and their use in econometric model specification}, author = {Clive W. J. Granger}, journal = {Journal of Econometrics}, year = {1981}, volume = {16}, number = {1}, pages = {121-130}, doi = {10.1016/0304-4076(81)90079-8}, url = {https://doi.org/10.1016/0304-4076(81)90079-8} } @article{econhot_econhot-cited-53bdb4ebeb76044c, title = {The Jackknife and the Bootstrap for General Stationary Observations}, author = {Hans Rudolf Künsch}, journal = {The Annals of Statistics}, year = {1989}, volume = {17}, number = {3}, doi = {10.1214/aos/1176347265}, url = {https://doi.org/10.1214/aos/1176347265} } @article{econhot_econhot-cited-4d51bf933d99232f, title = {Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks}, author = {Junsoo Lee and Mark C. Strazicich}, journal = {The Review of Economics and Statistics}, year = {2003}, volume = {85}, number = {4}, pages = {1082-1089}, doi = {10.1162/003465303772815961}, url = {https://doi.org/10.1162/003465303772815961} } @article{econhot_econhot-cited-e22fb01cbbb2bbcb, title = {A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’}, author = {Stephen Beveridge and Charles R. Nelson}, journal = {Journal of Monetary Economics}, year = {1981}, volume = {7}, number = {2}, pages = {151-174}, doi = {10.1016/0304-3932(81)90040-4}, url = {https://doi.org/10.1016/0304-3932(81)90040-4} } @article{econhot_econhot-cited-a08f085b3d93960b, title = {Threshold heteroskedastic models}, author = {Jean‐Michel Zakoïan}, journal = {Journal of Economic Dynamics and Control}, year = {1994}, volume = {18}, number = {5}, pages = {931-955}, doi = {10.1016/0165-1889(94)90039-6}, url = {https://doi.org/10.1016/0165-1889(94)90039-6} } @article{econhot_econhot-cited-b18978380941e75b, title = {Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis}, author = {Bruce E. Hansen}, journal = {Econometrica}, year = {1996}, volume = {64}, number = {2}, pages = {413}, doi = {10.2307/2171789}, url = {https://doi.org/10.2307/2171789} } @article{econhot_econhot-cited-5e90540bf7790bb2, title = {Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework}, author = {Anindya Banerjee and Juan J. Dolado and Ricardo Mestre}, journal = {Journal of Time Series Analysis}, year = {1998}, volume = {19}, number = {3}, pages = {267-283}, doi = {10.1111/1467-9892.00091}, url = {https://doi.org/10.1111/1467-9892.00091} } @article{econhot_econhot-cited-40e466e8e97b3674, title = {Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models}, author = {George E. P. Box and David A. Pierce}, journal = {Journal of the American Statistical Association}, year = {1970}, volume = {65}, number = {332}, pages = {1509}, doi = {10.2307/2284333}, url = {https://doi.org/10.2307/2284333} } @article{econhot_econhot-cited-8109ba47ff339b7e, title = {Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation}, author = {Bradley Efron}, journal = {Journal of the American Statistical Association}, year = {1983}, volume = {78}, number = {382}, pages = {316-331}, doi = {10.1080/01621459.1983.10477973}, url = {https://doi.org/10.1080/01621459.1983.10477973} } @article{econhot_econhot-cited-362e29dde34439af, title = {Cointegration and Tests of Present Value Models}, author = {John Y. Campbell and Robert J. Shiller}, journal = {Journal of Political Economy}, year = {1987}, volume = {95}, number = {5}, pages = {1062-1088}, doi = {10.1086/261502}, url = {https://doi.org/10.1086/261502} } @article{econhot_econhot-cited-f7e37bb6863a899c, title = {Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models}, author = {Timo Teräsvirta}, journal = {Journal of the American Statistical Association}, year = {1994}, volume = {89}, number = {425}, pages = {208-218}, doi = {10.1080/01621459.1994.10476462}, url = {https://doi.org/10.1080/01621459.1994.10476462} } @article{econhot_econhot-cited-1e90b7c5fb27f9c4, title = {Purchasing Power Parity Tests in Cointegrated Panels}, author = {Peter L. Pedroni}, journal = {The Review of Economics and Statistics}, year = {2001}, volume = {83}, number = {4}, pages = {727-731}, doi = {10.1162/003465301753237803}, url = {https://doi.org/10.1162/003465301753237803} } @article{econhot_econhot-cited-f47eeb5fbadcab33, title = {Hypothesis testing when a nuisance parameter is present only under the alternative}, author = {Robert Bruce Davies}, journal = {Biometrika}, year = {1987}, volume = {74}, number = {1}, pages = {33-43}, doi = {10.1093/biomet/74.1.33}, url = {https://doi.org/10.1093/biomet/74.1.33} } @article{econhot_econhot-cited-df3b7abbe28a3887, title = {Further evidence on breaking trend functions in macroeconomic variables}, author = {Pierre Perrón}, journal = {Journal of Econometrics}, year = {1997}, volume = {80}, number = {2}, pages = {355-385}, doi = {10.1016/s0304-4076(97)00049-3}, url = {https://doi.org/10.1016/s0304-4076(97)00049-3} } @article{econhot_econhot-cited-36b297af1485e7d6, title = {Numerical distribution functions of likelihood ratio tests for cointegration}, author = {James G. MacKinnon and Alfred A. Haug and Leo Michelis}, journal = {Journal of Applied Econometrics}, year = {1999}, volume = {14}, number = {5}, pages = {563-577}, doi = {10.1002/(sici)1099-1255(199909/10)14:5<563::aid-jae530>3.0.co;2-r}, url = {https://doi.org/10.1002/(sici)1099-1255(199909/10)14:5\%3C563::aid-jae530\%3E3.0.co;2-r} } @article{econhot_econhot-cited-8de174b4bfa02061, title = {Asymptotic Properties of Residual Based Tests for Cointegration}, author = {P. C. B. Phillips and Sam Ouliaris}, journal = {Econometrica}, year = {1990}, volume = {58}, number = {1}, pages = {165}, doi = {10.2307/2938339}, url = {https://doi.org/10.2307/2938339} } @article{econhot_econhot-cited-3d5fd39173b04ecf, title = {Analysis of time series subject to changes in regime}, author = {James Douglas Hamilton}, journal = {Journal of Econometrics}, year = {1990}, volume = {45}, number = {1-2}, pages = {39-70}, doi = {10.1016/0304-4076(90)90093-9}, url = {https://doi.org/10.1016/0304-4076(90)90093-9} } @article{econhot_econhot-cited-f1f95e5ec73f1555, title = {Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data}, author = {George E. Battese and Tim Coelli}, journal = {Journal of Econometrics}, year = {1988}, volume = {38}, number = {3}, pages = {387-399}, doi = {10.1016/0304-4076(88)90053-x}, url = {https://doi.org/10.1016/0304-4076(88)90053-x} } @article{econhot_econhot-cited-553fe22e5ead4a6b, title = {A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances}, author = {Harry H. Kelejian and Ingmar R. Prucha}, journal = {The Journal of Real Estate Finance and Economics}, year = {1998}, volume = {17}, number = {1}, pages = {99-121}, doi = {10.1023/a:1007707430416}, url = {https://doi.org/10.1023/a:1007707430416} } @article{econhot_econhot-cited-9fc111526cfc91b3, title = {Measurement of Linear Dependence and Feedback between Multiple Time Series}, author = {John F Geweke}, journal = {Journal of the American Statistical Association}, year = {1982}, volume = {77}, number = {378}, pages = {304-313}, doi = {10.1080/01621459.1982.10477803}, url = {https://doi.org/10.1080/01621459.1982.10477803} } @article{econhot_econhot-cited-daba8d04421c9496, title = {Long memory processes and fractional integration in econometrics}, author = {Richard T. Baillie}, journal = {Journal of Econometrics}, year = {1996}, volume = {73}, number = {1}, pages = {5-59}, doi = {10.1016/0304-4076(95)01732-1}, url = {https://doi.org/10.1016/0304-4076(95)01732-1} } @article{econhot_econhot-cited-e2a26d7bc49f8e27, title = {A PANIC Attack on Unit Roots and Cointegration}, author = {Jushan Bai and Serena Ng}, journal = {Econometrica}, year = {2004}, volume = {72}, number = {4}, pages = {1127-1177}, doi = {10.1111/j.1468-0262.2004.00528.x}, url = {https://doi.org/10.1111/j.1468-0262.2004.00528.x} } @article{econhot_econhot-cited-6c0761b644718def, title = {Interpreting the macroeconomic time series facts}, author = {Christopher A. Sims}, journal = {European Economic Review}, year = {1992}, volume = {36}, number = {5}, pages = {975-1000}, doi = {10.1016/0014-2921(92)90041-t}, url = {https://doi.org/10.1016/0014-2921(92)90041-t} } @article{econhot_econhot-cited-468d2ddb66dc0e36, title = {Forecasting and testing in co-integrated systems}, author = {Robert F. Engle and Byung Sam Yoo}, journal = {Journal of Econometrics}, year = {1987}, volume = {35}, number = {1}, pages = {143-159}, doi = {10.1016/0304-4076(87)90085-6}, url = {https://doi.org/10.1016/0304-4076(87)90085-6} } @article{econhot_econhot-cited-4059cbb662c5f451, title = {Autoregressive conditional heteroskedasticity and changes in regime}, author = {James Douglas Hamilton and Raúl Susmel}, journal = {Journal of Econometrics}, year = {1994}, volume = {64}, number = {1-2}, pages = {307-333}, doi = {10.1016/0304-4076(94)90067-1}, url = {https://doi.org/10.1016/0304-4076(94)90067-1} } @article{econhot_econhot-cited-f834655db452eb81, title = {Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data}, author = {Robert F. Engle and Jeffrey R. Russell}, journal = {Econometrica}, year = {1998}, volume = {66}, number = {5}, pages = {1127}, doi = {10.2307/2999632}, url = {https://doi.org/10.2307/2999632} } @article{econhot_econhot-cited-4948628e0d3021ef, title = {Understanding spurious regressions in econometrics}, author = {Peter C.B. Phillips}, journal = {Journal of Econometrics}, year = {1986}, volume = {33}, number = {3}, pages = {311-340}, doi = {10.1016/0304-4076(86)90001-1}, url = {https://doi.org/10.1016/0304-4076(86)90001-1} } @article{econhot_econhot-cited-a52cfd3a57392cb2, title = {Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach}, author = {Ben Bernanke and Jean L. Boivin and Piotr Eliasz}, journal = {The Quarterly Journal of Economics}, year = {2005}, volume = {120}, number = {1}, pages = {387-422}, doi = {10.1162/0033553053327452}, url = {https://doi.org/10.1162/0033553053327452} } @article{econhot_econhot-cited-048eb6f245d2b341, title = {A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables}, author = {Andrew Ang and Monika Piazzesi}, journal = {Journal of Monetary Economics}, year = {2003}, volume = {50}, number = {4}, pages = {745-787}, doi = {10.1016/s0304-3932(03)00032-1}, url = {https://doi.org/10.1016/s0304-3932(03)00032-1} } @article{econhot_econhot-cited-79e9d62ca74d220a, title = {Forecasting seasonals and trends by exponentially weighted moving averages}, author = {Charles C. Holt}, journal = {International Journal of Forecasting}, year = {2004}, volume = {20}, number = {1}, pages = {5-10}, doi = {10.1016/j.ijforecast.2003.09.015}, url = {https://doi.org/10.1016/j.ijforecast.2003.09.015} } @article{econhot_econhot-cited-47f3c85130f986ee, title = {Improving predictive inference under covariate shift by weighting the log-likelihood function}, author = {Hidetoshi Shimodaira}, journal = {Journal of Statistical Planning and Inference}, year = {2000}, volume = {90}, number = {2}, pages = {227-244}, doi = {10.1016/s0378-3758(00)00115-4}, url = {https://doi.org/10.1016/s0378-3758(00)00115-4} } @article{econhot_econhot-cited-de2fd21c927b91e4, title = {Predictive regressions}, author = {Robert F. Stambaugh}, journal = {Journal of Financial Economics}, year = {1999}, volume = {54}, number = {3}, pages = {375-421}, doi = {10.1016/s0304-405x(99)00041-0}, url = {https://doi.org/10.1016/s0304-405x(99)00041-0} } @article{econhot_econhot-cited-af1a0b9fccf945ea, title = {Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK}, author = {Søren Johansen and Katarina Jusélius}, journal = {Journal of Econometrics}, year = {1992}, volume = {53}, number = {1-3}, pages = {211-244}, doi = {10.1016/0304-4076(92)90086-7}, url = {https://doi.org/10.1016/0304-4076(92)90086-7} } @article{econhot_econhot-cited-aea8195c8df30dcc, title = {Inflation forecast targeting: Implementing and monitoring inflation targets}, author = {Lars E.O. Svensson}, journal = {European Economic Review}, year = {1997}, volume = {41}, number = {6}, pages = {1111-1146}, doi = {10.1016/s0014-2921(96)00055-4}, url = {https://doi.org/10.1016/s0014-2921(96)00055-4} } @article{econhot_econhot-cited-6b201e9e36821ce1, title = {Term Premia and Interest Rate Forecasts in Affine Models}, author = {Gregory R. Duffee}, journal = {The Journal of Finance}, year = {2002}, volume = {57}, number = {1}, pages = {405-443}, doi = {10.1111/1540-6261.00426}, url = {https://doi.org/10.1111/1540-6261.00426} } @article{econhot_econhot-cited-dedb104acae337f9, title = {Electricity price forecasting: A review of the state-of-the-art with a look into the future}, author = {Rafał Weron}, journal = {International Journal of Forecasting}, year = {2014}, volume = {30}, number = {4}, pages = {1030-1081}, doi = {10.1016/j.ijforecast.2014.08.008}, url = {https://doi.org/10.1016/j.ijforecast.2014.08.008} } @article{econhot_econhot-cited-ef9c8d28c0c7e7cd, title = {Autoregressive Conditional Density Estimation}, author = {Bruce E. Hansen}, journal = {International Economic Review}, year = {1994}, volume = {35}, number = {3}, pages = {705}, doi = {10.2307/2527081}, url = {https://doi.org/10.2307/2527081} } @article{econhot_econhot-cited-b72a186a785fef60, title = {Finite state markov-chain approximations to univariate and vector autoregressions}, author = {George E. Tauchen}, journal = {Economics Letters}, year = {1986}, volume = {20}, number = {2}, pages = {177-181}, doi = {10.1016/0165-1765(86)90168-0}, url = {https://doi.org/10.1016/0165-1765(86)90168-0} } @article{econhot_econhot-cited-78e9ac097300c095, title = {25 years of time series forecasting}, author = {Jan G. De Gooijer and Rob J. Hyndman}, journal = {International Journal of Forecasting}, year = {2006}, volume = {22}, number = {3}, pages = {443-473}, doi = {10.1016/j.ijforecast.2006.01.001}, url = {https://doi.org/10.1016/j.ijforecast.2006.01.001} } @article{econhot_econhot-cited-513a0f17b42bd09b, title = {Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts}, author = {Harrison G. Hong and Jeffrey D. Kubik}, journal = {The Journal of Finance}, year = {2003}, volume = {58}, number = {1}, pages = {313-351}, doi = {10.1111/1540-6261.00526}, url = {https://doi.org/10.1111/1540-6261.00526} } @article{econhot_econhot-cited-4c6c65c94dc3a752, title = {Testing for a unit root in the nonlinear STAR framework}, author = {George Kapetanios and Yongcheol Shin and Andy Snell}, journal = {Journal of Econometrics}, year = {2002}, volume = {112}, number = {2}, pages = {359-379}, doi = {10.1016/s0304-4076(02)00202-6}, url = {https://doi.org/10.1016/s0304-4076(02)00202-6} } @article{econhot_econhot-cited-8f96a5866db2392b, title = {Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions}, author = {Nikolaos Antonakakis and Ioannis Chatziantoniou and David Gabauer}, journal = {Journal of risk and financial management}, year = {2020}, volume = {13}, number = {4}, pages = {84}, doi = {10.3390/jrfm13040084}, url = {https://doi.org/10.3390/jrfm13040084} } @article{econhot_econhot-cited-fec33b9450ecf6fe, title = {Does financial development cause economic growth? Time-series evidence from 16 countries}, author = {Panicos O. Demetriades and Khaled Hussein}, journal = {Journal of Development Economics}, year = {1996}, volume = {51}, number = {2}, pages = {387-411}, doi = {10.1016/s0304-3878(96)00421-x}, url = {https://doi.org/10.1016/s0304-3878(96)00421-x} } @article{econhot_econhot-cited-a82bce861d21d302, title = {Multiple Trend Breaks and the Unit-Root Hypothesis}, author = {Robin L. Lumsdaine and David H. Papell}, journal = {The Review of Economics and Statistics}, year = {1997}, volume = {79}, number = {2}, pages = {212-218}, doi = {10.1162/003465397556791}, url = {https://doi.org/10.1162/003465397556791} } @article{econhot_econhot-cited-ce4d3296db424fd7, title = {Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence}, author = {John Y. Campbell and N. Gregory Mankiw}, journal = {NBER Macroeconomics Annual}, year = {1989}, volume = {4}, pages = {185-216}, doi = {10.1086/654107}, url = {https://doi.org/10.1086/654107} } @article{econhot_econhot-cited-aaf9c72812e7883a, title = {A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model}, author = {Harry H. Kelejian and Ingmar R. Prucha}, journal = {International Economic Review}, year = {1999}, volume = {40}, number = {2}, pages = {509-533}, doi = {10.1111/1468-2354.00027}, url = {https://doi.org/10.1111/1468-2354.00027} } @article{econhot_econhot-cited-05d4b8b0527b6a52, title = {Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors}, author = {James H. Stock}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {5}, pages = {1035}, doi = {10.2307/1911260}, url = {https://doi.org/10.2307/1911260} } @article{econhot_econhot-cited-47dde2c18b08a049, title = {Seasonal integration and cointegration}, author = {Svend Hylleberg and Robert F. Engle and C.W.J. Granger and B.S. Yoo}, journal = {Journal of Econometrics}, year = {1990}, volume = {44}, number = {1-2}, pages = {215-238}, doi = {10.1016/0304-4076(90)90080-d}, url = {https://doi.org/10.1016/0304-4076(90)90080-d} } @article{econhot_econhot-cited-1b2acfce8a96286f, title = {Long memory relationships and the aggregation of dynamic models}, author = {Clive W. J. Granger}, journal = {Journal of Econometrics}, year = {1980}, volume = {14}, number = {2}, pages = {227-238}, doi = {10.1016/0304-4076(80)90092-5}, url = {https://doi.org/10.1016/0304-4076(80)90092-5} } @article{econhot_econhot-cited-a1b5fdfbbf8527b4, title = {Dynamic linear models with Markov-switching}, author = {Chang‐Jin Kim}, journal = {Journal of Econometrics}, year = {1994}, volume = {60}, number = {1-2}, pages = {1-22}, doi = {10.1016/0304-4076(94)90036-1}, url = {https://doi.org/10.1016/0304-4076(94)90036-1} } @article{econhot_econhot-cited-f7d477ca00dc9286, title = {The accuracy of extrapolation (time series) methods: Results of a forecasting competition}, author = {Spyros Makridakis and A. P. Andersen and Robert F. Carbone and Robert A. Fildes and Michèle Hibon and Rudolf Lewandowski and J. Newton and Emanuel Parzen and Robert L. Winkler}, journal = {Journal of Forecasting}, year = {1982}, volume = {1}, number = {2}, pages = {111-153}, doi = {10.1002/for.3980010202}, url = {https://doi.org/10.1002/for.3980010202} } @article{econhot_econhot-cited-85ab23ccf0d0b4f8, title = {Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag}, author = {Serena Ng and Pierre Perrón}, journal = {Journal of the American Statistical Association}, year = {1995}, volume = {90}, number = {429}, pages = {268-281}, doi = {10.1080/01621459.1995.10476510}, url = {https://doi.org/10.1080/01621459.1995.10476510} } @article{econhot_econhot-cited-ca156d00f2b455e7, title = {Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model}, author = {M. Hashem Pesaran and Til Schuermann and Scott M. Weiner}, journal = {Journal of Business and Economic Statistics}, year = {2004}, volume = {22}, number = {2}, pages = {129-162}, doi = {10.1198/073500104000000019}, url = {https://doi.org/10.1198/073500104000000019} } @article{econhot_econhot-cited-d86bc9933398f36e, title = {Asymptotic Inference about Predictive Ability}, author = {Kenneth D. West}, journal = {Econometrica}, year = {1996}, volume = {64}, number = {5}, pages = {1067}, doi = {10.2307/2171956}, url = {https://doi.org/10.2307/2171956} } @article{econhot_econhot-cited-444378d9727f27f6, title = {Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables}, author = {Leslie G. Godfrey}, journal = {Econometrica}, year = {1978}, volume = {46}, number = {6}, pages = {1293}, doi = {10.2307/1913829}, url = {https://doi.org/10.2307/1913829} } @article{econhot_econhot-cited-972eb7db5632b453, title = {Inference for unit roots in dynamic panels where the time dimension is fixed}, author = {Richard D. F. Harris and Elias Tzavalis}, journal = {Journal of Econometrics}, year = {1999}, volume = {91}, number = {2}, pages = {201-226}, doi = {10.1016/s0304-4076(98)00076-1}, url = {https://doi.org/10.1016/s0304-4076(98)00076-1} } @article{econhot_econhot-cited-f920fb6a4696dda9, title = {Time series momentum}, author = {Tobias J. Moskowitz and Yao Hua Ooi and Lasse Heje Pedersen}, journal = {Journal of Financial Economics}, year = {2011}, volume = {104}, number = {2}, pages = {228-250}, doi = {10.1016/j.jfineco.2011.11.003}, url = {https://doi.org/10.1016/j.jfineco.2011.11.003} } @article{econhot_econhot-cited-34d5fe8370a69c03, title = {Panel data from time series of cross-sections}, author = {Angus Deaton}, journal = {Journal of Econometrics}, year = {1985}, volume = {30}, number = {1-2}, pages = {109-126}, doi = {10.1016/0304-4076(85)90134-4}, url = {https://doi.org/10.1016/0304-4076(85)90134-4} } @article{econhot_econhot-cited-4b4ae782e9dc5ab2, title = {Linear Regression Limit Theory for Nonstationary Panel Data}, author = {Peter C.B. Phillips and Hyungsik Roger Moon}, journal = {Econometrica}, year = {1999}, volume = {67}, number = {5}, pages = {1057-1111}, doi = {10.1111/1468-0262.00070}, url = {https://doi.org/10.1111/1468-0262.00070} } @article{econhot_econhot-cited-fb5a02ce696d321c, title = {Growth Forecast Errors and Fiscal Multipliers}, author = {Olivier Jean Blanchard and Daniel Leigh}, journal = {American Economic Review}, year = {2013}, volume = {103}, number = {001}, pages = {1}, doi = {10.1257/aer.103.3.117}, url = {https://doi.org/10.1257/aer.103.3.117} } @article{econhot_econhot-cited-89f4fb27c148f862, title = {Error measures for generalizing about forecasting methods: Empirical comparisons}, author = {J. Scott Armstrong and Fred Collopy}, journal = {International Journal of Forecasting}, year = {1992}, volume = {8}, number = {1}, pages = {69-80}, doi = {10.1016/0169-2070(92)90008-w}, url = {https://doi.org/10.1016/0169-2070(92)90008-w} } @article{econhot_econhot-cited-cd1c4a24606e320f, title = {Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation}, author = {Craig Hiemstra and Jonathan D. Jones}, journal = {The Journal of Finance}, year = {1994}, volume = {49}, number = {5}, pages = {1639-1664}, doi = {10.1111/j.1540-6261.1994.tb04776.x}, url = {https://doi.org/10.1111/j.1540-6261.1994.tb04776.x} } @article{econhot_econhot-cited-0f2d332011324ee4, title = {Canonical Cointegrating Regressions}, author = {Joon‐Young Park}, journal = {Econometrica}, year = {1992}, volume = {60}, number = {1}, pages = {119}, doi = {10.2307/2951679}, url = {https://doi.org/10.2307/2951679} } @article{econhot_econhot-cited-3a377ec6c2999a7a, title = {Recurrent Neural Networks for Time Series Forecasting: Current status and future directions}, author = {Hansika Hewamalage and Christoph Bergmeir and Kasun Bandara}, journal = {International Journal of Forecasting}, year = {2020}, volume = {37}, number = {1}, pages = {388-427}, doi = {10.1016/j.ijforecast.2020.06.008}, url = {https://doi.org/10.1016/j.ijforecast.2020.06.008} } @article{econhot_econhot-cited-ab441e26d8e61329, title = {Estimation of Common Long-Memory Components in Cointegrated Systems}, author = {Jesús Gonzalo and Clive W. J. Granger}, journal = {Journal of Business and Economic Statistics}, year = {1995}, volume = {13}, number = {1}, pages = {27-35}, doi = {10.1080/07350015.1995.10524576}, url = {https://doi.org/10.1080/07350015.1995.10524576} } @article{econhot_econhot-cited-1b0f5fe5b07887ff, title = {Testing linearity against smooth transition autoregressive models}, author = {Ritva A. Luukkonen and Pentti Saikkonen and Timo Teräsvirta}, journal = {Biometrika}, year = {1988}, volume = {75}, number = {3}, pages = {491-499}, doi = {10.1093/biomet/75.3.491}, url = {https://doi.org/10.1093/biomet/75.3.491} } @article{econhot_econhot-cited-06fee1daa67933bc, title = {Underwriting relationships, analysts' earnings forecasts and investment recommendations}, author = {Hsiou‐Wei William Lin and Maureen F. McNichols}, journal = {Journal of Accounting and Economics}, year = {1998}, volume = {25}, number = {1}, pages = {101-127}, doi = {10.1016/s0165-4101(98)00016-0}, url = {https://doi.org/10.1016/s0165-4101(98)00016-0} } @article{econhot_econhot-cited-d183877025863182, title = {Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model}, author = {Kung‐Sik Chan}, journal = {The Annals of Statistics}, year = {1993}, volume = {21}, number = {1}, doi = {10.1214/aos/1176349040}, url = {https://doi.org/10.1214/aos/1176349040} } @article{econhot_econhot-cited-805e532e72dce998, title = {Threshold Autoregression, Limit Cycles and Cyclical Data}, author = {Hưng Tâm Tống and K. S. Lim}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1980}, volume = {42}, number = {3}, pages = {245-268}, doi = {10.1111/j.2517-6161.1980.tb01126.x}, url = {https://doi.org/10.1111/j.2517-6161.1980.tb01126.x} } @article{econhot_econhot-cited-8c676181d0139a22, title = {New Simple Tests for Panel Cointegration}, author = {Joakim Westerlund}, journal = {Econometric Reviews}, year = {2005}, volume = {24}, number = {3}, pages = {297-316}, doi = {10.1080/07474930500243019}, url = {https://doi.org/10.1080/07474930500243019} } @article{econhot_econhot-cited-d757ab9687a94e23, title = {THE POWER OF COINTEGRATION TESTS}, author = {Jeroen Kremers and Neil R. Ericsson and Juan J. Dolado}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1992}, volume = {54}, number = {3}, pages = {325-348}, doi = {10.1111/j.1468-0084.1992.tb00005.x}, url = {https://doi.org/10.1111/j.1468-0084.1992.tb00005.x} } @article{econhot_econhot-cited-a242a920e5ef67d6, title = {Conducting Interrupted Time-series Analysis for Single- and Multiple-group Comparisons}, author = {Ariel Linden}, journal = {The Stata Journal Promoting communications on statistics and Stata}, year = {2015}, volume = {15}, number = {2}, pages = {480-500}, doi = {10.1177/1536867x1501500208}, url = {https://doi.org/10.1177/1536867x1501500208} } @article{econhot_econhot-cited-fbfc214d12c5f3bd, title = {Forecasting inflation}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Monetary Economics}, year = {1999}, volume = {44}, number = {2}, pages = {293-335}, doi = {10.1016/s0304-3932(99)00027-6}, url = {https://doi.org/10.1016/s0304-3932(99)00027-6} } @article{econhot_econhot-cited-4dcdf839dc649d02, title = {Asymptotically Efficient Estimation of Cointegration Regressions}, author = {Pentti Saikkonen}, journal = {Econometric Theory}, year = {1991}, volume = {7}, number = {1}, pages = {1-21}, doi = {10.1017/s0266466600004217}, url = {https://doi.org/10.1017/s0266466600004217} } @article{econhot_econhot-cited-cbb27cc959986aa6, title = {Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1}, author = {Michael John Brennan and Tarun Chordia and Avanidhar Subrahmanyam}, journal = {Journal of Financial Economics}, year = {1998}, volume = {49}, number = {3}, pages = {345-373}, doi = {10.1016/s0304-405x(98)00028-2}, url = {https://doi.org/10.1016/s0304-405x(98)00028-2} } @article{econhot_econhot-cited-762d10ee588130bb, title = {Log-Periodogram Regression of Time Series with Long Range Dependence}, author = {Peter M. Robinson}, journal = {The Annals of Statistics}, year = {1995}, volume = {23}, number = {3}, doi = {10.1214/aos/1176324636}, url = {https://doi.org/10.1214/aos/1176324636} } @article{econhot_econhot-cited-61f290cfe0346251, title = {A Test for Superior Predictive Ability}, author = {Peter Reinhard Hansen}, journal = {Journal of Business and Economic Statistics}, year = {2005}, volume = {23}, number = {4}, pages = {365-380}, doi = {10.1198/073500105000000063}, url = {https://doi.org/10.1198/073500105000000063} } @article{econhot_econhot-cited-3a562d2b6b0294b5, title = {Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series}, author = {George Udny Yule}, journal = {Journal Of The Royal Statistical Society}, year = {1926}, volume = {89}, number = {1}, pages = {1}, doi = {10.2307/2341482}, url = {https://doi.org/10.2307/2341482} } @article{econhot_econhot-cited-407bdcea055ba5d1, title = {Security Analysts' Career Concerns and Herding of Earnings Forecasts}, author = {Harrison G. Hong and Jeffrey D. Kubik and Amit Solomon}, journal = {The RAND Journal of Economics}, year = {2000}, volume = {31}, number = {1}, pages = {121}, doi = {10.2307/2601032}, url = {https://doi.org/10.2307/2601032} } @article{econhot_econhot-cited-c109b2227843c5a3, title = {Forecasting and conditional projection using realistic prior distributions}, author = {Thomas Doan and Robert B. Litterman and Christopher A. Sims}, journal = {Econometric Reviews}, year = {1984}, volume = {3}, number = {1}, pages = {1-100}, doi = {10.1080/07474938408800053}, url = {https://doi.org/10.1080/07474938408800053} } @article{econhot_econhot-cited-2cbafbece4b43511, title = {The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries}, author = {John Asafu‐Adjaye}, journal = {Energy Economics}, year = {2000}, volume = {22}, number = {6}, pages = {615-625}, doi = {10.1016/s0140-9883(00)00050-5}, url = {https://doi.org/10.1016/s0140-9883(00)00050-5} } @article{econhot_econhot-cited-54fd7ac6c3c248a5, title = {Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle}, author = {Chang‐Jin Kim and Charles R. Nelson}, journal = {The Review of Economics and Statistics}, year = {1999}, volume = {81}, number = {4}, pages = {608-616}, doi = {10.1162/003465399558472}, url = {https://doi.org/10.1162/003465399558472} } @article{econhot_econhot-cited-f01e2924d36b030b, title = {zoo : S3 Infrastructure for Regular and Irregular Time Series}, author = {Achim Zeileis and Gabor Grothendieck}, journal = {Journal of Statistical Software}, year = {2005}, volume = {14}, number = {6}, doi = {10.18637/jss.v014.i06}, url = {https://doi.org/10.18637/jss.v014.i06} } @article{econhot_econhot-cited-c0c81ad6c57e6c70, title = {Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {1}, pages = {219-265}, doi = {10.1111/0022-1082.85732}, url = {https://doi.org/10.1111/0022-1082.85732} } @article{econhot_econhot-cited-761423a2603d6714, title = {FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION}, author = {Yin‐Wong Cheung and Kon S. Lai}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1993}, volume = {55}, number = {3}, pages = {313-328}, doi = {10.1111/j.1468-0084.1993.mp55003003.x}, url = {https://doi.org/10.1111/j.1468-0084.1993.mp55003003.x} } @article{econhot_econhot-cited-1f25ad32d45e7845, title = {Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates}, author = {Walter Enders and C.W.J. Granger}, journal = {Journal of Business and Economic Statistics}, year = {1998}, volume = {16}, number = {3}, pages = {304-311}, doi = {10.1080/07350015.1998.10524769}, url = {https://doi.org/10.1080/07350015.1998.10524769} } @article{econhot_econhot-cited-6279be08019c1a24, title = {Panel cointegration tests of the Fisher effect}, author = {Joakim Westerlund}, journal = {Journal of Applied Econometrics}, year = {2007}, volume = {23}, number = {2}, pages = {193-233}, doi = {10.1002/jae.967}, url = {https://doi.org/10.1002/jae.967} } @article{econhot_econhot-cited-8320b182ac390497, title = {Making and Evaluating Point Forecasts}, author = {Tilmann Gneiting}, journal = {Journal of the American Statistical Association}, year = {2011}, volume = {106}, number = {494}, pages = {746-762}, doi = {10.1198/jasa.2011.r10138}, url = {https://doi.org/10.1198/jasa.2011.r10138} } @article{econhot_econhot-cited-c8d25177dee719cc, title = {Macroeconomic Expectations of Households and Professional Forecasters}, author = {Christopher Carroll}, journal = {The Quarterly Journal of Economics}, year = {2003}, volume = {118}, number = {1}, pages = {269-298}, doi = {10.1162/00335530360535207}, url = {https://doi.org/10.1162/00335530360535207} } @article{econhot_econhot-cited-2f0342cf82f60432, title = {Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series}, author = {Gregory C. Chow and An‐loh Lin}, journal = {The Review of Economics and Statistics}, year = {1971}, volume = {53}, number = {4}, pages = {372}, doi = {10.2307/1928739}, url = {https://doi.org/10.2307/1928739} } @article{econhot_econhot-cited-7adfdb3418b95883, title = {Tests of equal forecast accuracy and encompassing for nested models}, author = {Todd E. Clark and Michael W. McCracken}, journal = {Journal of Econometrics}, year = {2001}, volume = {105}, number = {1}, pages = {85-110}, doi = {10.1016/s0304-4076(01)00071-9}, url = {https://doi.org/10.1016/s0304-4076(01)00071-9} } @article{econhot_econhot-cited-0dff0e90722a114b, title = {SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS}, author = {Dick van Dijk and Timo Teräsvirta and Philip Hans Franses}, journal = {Econometric Reviews}, year = {2002}, volume = {21}, number = {1}, pages = {1-47}, doi = {10.1081/etc-120008723}, url = {https://doi.org/10.1081/etc-120008723} } @article{econhot_econhot-cited-5c5a4a9ef3a8a5f5, title = {Long memory and regime switching}, author = {Francis X. Diebold and Atsushi Inoue}, journal = {Journal of Econometrics}, year = {2001}, volume = {105}, number = {1}, pages = {131-159}, doi = {10.1016/s0304-4076(01)00073-2}, url = {https://doi.org/10.1016/s0304-4076(01)00073-2} } @article{econhot_econhot-cited-3c7a658f44758d86, title = {Combination forecasts of output growth in a seven‐country data set}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Forecasting}, year = {2004}, volume = {23}, number = {6}, pages = {405-430}, doi = {10.1002/for.928}, url = {https://doi.org/10.1002/for.928} } @article{econhot_econhot-cited-14b58a53277a9f74, title = {Improved methods of combining forecasts}, author = {Clive W. J. Granger and Ramu Ramanathan}, journal = {Journal of Forecasting}, year = {1984}, volume = {3}, number = {2}, pages = {197-204}, doi = {10.1002/for.3980030207}, url = {https://doi.org/10.1002/for.3980030207} } @article{econhot_econhot-cited-d3577b4ae04c9910, title = {Vector Autoregressions}, author = {James H. Stock and Mark W. Watson}, journal = {The Journal of Economic Perspectives}, year = {2001}, volume = {15}, number = {4}, pages = {101-115}, doi = {10.1257/jep.15.4.101}, url = {https://doi.org/10.1257/jep.15.4.101} } @article{econhot_econhot-cited-68cd74dcccdea407, title = {Production frontiers with cross-sectional and time-series variation in efficiency levels}, author = {Christopher Mark Cornwell and Peter Schmidt and Robin C. Sickles}, journal = {Journal of Econometrics}, year = {1990}, volume = {46}, number = {1-2}, pages = {185-200}, doi = {10.1016/0304-4076(90)90054-w}, url = {https://doi.org/10.1016/0304-4076(90)90054-w} } @article{econhot_econhot-cited-749716d721a78216, title = {Cointegration and Threshold Adjustment}, author = {Walter Enders and Pierre L. Siklos}, journal = {Journal of Business and Economic Statistics}, year = {2001}, volume = {19}, number = {2}, pages = {166-176}, doi = {10.1198/073500101316970395}, url = {https://doi.org/10.1198/073500101316970395} } @article{econhot_econhot-cited-ee0f0f9802aab7c3, title = {A new metric of absolute percentage error for intermittent demand forecasts}, author = {Sung‐Il Kim and Heeyoung Kim}, journal = {International Journal of Forecasting}, year = {2016}, volume = {32}, number = {3}, pages = {669-679}, doi = {10.1016/j.ijforecast.2015.12.003}, url = {https://doi.org/10.1016/j.ijforecast.2015.12.003} } @article{econhot_econhot-cited-b4abd2a9df5820e1, title = {Forecasting With Bayesian Vector Autoregressions—Five Years of Experience}, author = {Robert B. Litterman}, journal = {Journal of Business and Economic Statistics}, year = {1986}, volume = {4}, number = {1}, pages = {25-38}, doi = {10.1080/07350015.1986.10509491}, url = {https://doi.org/10.1080/07350015.1986.10509491} } @article{econhot_econhot-cited-fe15805e0c28926f, title = {Five alternative methods of estimating long-run equilibrium relationships}, author = {Jesús Gonzalo}, journal = {Journal of Econometrics}, year = {1994}, volume = {60}, number = {1-2}, pages = {203-233}, doi = {10.1016/0304-4076(94)90044-2}, url = {https://doi.org/10.1016/0304-4076(94)90044-2} } @article{econhot_econhot-cited-e0c8971221469245, title = {Stock Market Volatility and Macroeconomic Fundamentals}, author = {Robert F. Engle and Éric Ghysels and Bumjean Sohn}, journal = {The Review of Economics and Statistics}, year = {2012}, volume = {95}, number = {3}, pages = {776-797}, doi = {10.1162/rest\_a\_00300}, url = {https://doi.org/10.1162/rest\_a\_00300} } @article{econhot_econhot-cited-c5c8e3ac782b6849, title = {Nonstationarity and Level Shifts With an Application to Purchasing Power Parity}, author = {Pierre Perrón and Timothy J. Vogelsang}, journal = {Journal of Business and Economic Statistics}, year = {1992}, volume = {10}, number = {3}, pages = {301-320}, doi = {10.1080/07350015.1992.10509907}, url = {https://doi.org/10.1080/07350015.1992.10509907} } @article{econhot_econhot-cited-a9794bb9dfb1aafc, title = {Persistence in Variance, Structural Change, and the GARCH Model}, author = {Christopher G. Lamoureux and William D. Lastrapes}, journal = {Journal of Business and Economic Statistics}, year = {1990}, volume = {8}, number = {2}, pages = {225-234}, doi = {10.1080/07350015.1990.10509794}, url = {https://doi.org/10.1080/07350015.1990.10509794} } @article{econhot_econhot-cited-3db971be706cf128, title = {Optimal Inference in Cointegrated Systems}, author = {Peter C.B. Phillips}, journal = {Econometrica}, year = {1991}, volume = {59}, number = {2}, pages = {283}, doi = {10.2307/2938258}, url = {https://doi.org/10.2307/2938258} } @article{econhot_econhot-cited-b5de4e9d5fbdefba, title = {Forecasting Output and Inflation: The Role of Asset Prices}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Economic Literature}, year = {2003}, volume = {41}, number = {3}, pages = {788-829}, doi = {10.1257/002205103322436197}, url = {https://doi.org/10.1257/002205103322436197} } @article{econhot_econhot-cited-c062400d6e4b2011, title = {Testing for a Unit Root in a Time Series With a Changing Mean}, author = {Pierre Perrón}, journal = {Journal of Business and Economic Statistics}, year = {1990}, volume = {8}, number = {2}, pages = {153-162}, doi = {10.1080/07350015.1990.10509786}, url = {https://doi.org/10.1080/07350015.1990.10509786} } @article{econhot_econhot-cited-58efc82b6698e862, title = {Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances}, author = {Harry H. Kelejian and Ingmar R. Prucha}, journal = {Journal of Econometrics}, year = {2009}, volume = {157}, number = {1}, pages = {53-67}, doi = {10.1016/j.jeconom.2009.10.025}, url = {https://doi.org/10.1016/j.jeconom.2009.10.025} } @article{econhot_econhot-cited-8c650e63f6596527, title = {A state space framework for automatic forecasting using exponential smoothing methods}, author = {Rob J. Hyndman and Anne B. Koehler and Ralph D. Snyder and Simone D. Grose}, journal = {International Journal of Forecasting}, year = {2002}, volume = {18}, number = {3}, pages = {439-454}, doi = {10.1016/s0169-2070(01)00110-8}, url = {https://doi.org/10.1016/s0169-2070(01)00110-8} } @article{econhot_econhot-cited-ca67066040550398, title = {A panel bootstrap cointegration test}, author = {Joakim Westerlund and David Edgerton}, journal = {Economics Letters}, year = {2007}, volume = {97}, number = {3}, pages = {185-190}, doi = {10.1016/j.econlet.2007.03.003}, url = {https://doi.org/10.1016/j.econlet.2007.03.003} } @article{econhot_econhot-cited-0d52e52200f80d4c, title = {strucchange : An R Package for Testing for Structural Change in Linear Regression Models}, author = {Achim Zeileis and Friedrich Leisch and Kurt Hornik and Christian Kleiber}, journal = {Journal of Statistical Software}, year = {2002}, volume = {7}, number = {2}, doi = {10.18637/jss.v007.i02}, url = {https://doi.org/10.18637/jss.v007.i02} } @article{econhot_econhot-cited-587cf2f9b3dd862f, title = {Rationality and Analysts' Forecast Bias}, author = {Terence M. Lim}, journal = {The Journal of Finance}, year = {2001}, volume = {56}, number = {1}, pages = {369-385}, doi = {10.1111/0022-1082.00329}, url = {https://doi.org/10.1111/0022-1082.00329} } @article{econhot_econhot-cited-87f5a155d6846085, title = {Maximum likelihood estimation of stationary univariate fractionally integrated time series models}, author = {Fallaw Sowell}, journal = {Journal of Econometrics}, year = {1992}, volume = {53}, number = {1-3}, pages = {165-188}, doi = {10.1016/0304-4076(92)90084-5}, url = {https://doi.org/10.1016/0304-4076(92)90084-5} } @article{econhot_econhot-cited-074ed11d30dfd143, title = {Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing}, author = {Alysha Madhu De Livera and Rob J. Hyndman and Ralph D. Snyder}, journal = {Journal of the American Statistical Association}, year = {2011}, volume = {106}, number = {496}, pages = {1513-1527}, doi = {10.1198/jasa.2011.tm09771}, url = {https://doi.org/10.1198/jasa.2011.tm09771} } @article{econhot_econhot-cited-ff338539983cbc25, title = {The Fitting of Time-Series Models}, author = {James Durbin}, journal = {Revue de l Institut International de Statistique / Review of the International Statistical Institute}, year = {1960}, volume = {28}, number = {3}, pages = {233}, doi = {10.2307/1401322}, url = {https://doi.org/10.2307/1401322} } @article{econhot_econhot-cited-eb476fb1be836b44, title = {Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond}, author = {Tao Hong and Pierre Pinson and Fan Shu and Hamidreza Zareipour and Alberto Troccoli and Rob J. Hyndman}, journal = {International Journal of Forecasting}, year = {2016}, volume = {32}, number = {3}, pages = {896-913}, doi = {10.1016/j.ijforecast.2016.02.001}, url = {https://doi.org/10.1016/j.ijforecast.2016.02.001} } @article{econhot_econhot-cited-8707a186f679e51d, title = {Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models}, author = {Lung‐fei Lee}, journal = {Econometrica}, year = {2004}, volume = {72}, number = {6}, pages = {1899-1925}, doi = {10.1111/j.1468-0262.2004.00558.x}, url = {https://doi.org/10.1111/j.1468-0262.2004.00558.x} } @article{econhot_econhot-cited-2c3f6043249dbc03, title = {Analysts' forecasts as earnings expectations}, author = {Patricia C. O’Brien}, journal = {Journal of Accounting and Economics}, year = {1988}, volume = {10}, number = {1}, pages = {53-83}, doi = {10.1016/0165-4101(88)90023-7}, url = {https://doi.org/10.1016/0165-4101(88)90023-7} } @article{econhot_econhot-cited-e25e396e6c41fa72, title = {Estimation of Panel Vector Autoregression in Stata}, author = {Michael R.M. Abrigo and Inessa Love}, journal = {The Stata Journal Promoting communications on statistics and Stata}, year = {2016}, volume = {16}, number = {3}, pages = {778-804}, doi = {10.1177/1536867x1601600314}, url = {https://doi.org/10.1177/1536867x1601600314} } @article{econhot_econhot-cited-d6939f1a51f97dd2, title = {DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND}, author = {Søren Johansen}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1992}, volume = {54}, number = {3}, pages = {383-397}, doi = {10.1111/j.1468-0084.1992.tb00008.x}, url = {https://doi.org/10.1111/j.1468-0084.1992.tb00008.x} } @article{econhot_econhot-cited-a81fa361e5be3e0f, title = {GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS}, author = {Drew Creal and Siem Jan Koopman and André Lucas}, journal = {Journal of Applied Econometrics}, year = {2012}, volume = {28}, number = {5}, pages = {777-795}, doi = {10.1002/jae.1279}, url = {https://doi.org/10.1002/jae.1279} } @article{econhot_econhot-cited-527b4a3a1dd79097, title = {MIDAS Regressions: Further Results and New Directions}, author = {Éric Ghysels and Arthur Sinko and Rossen I. Valkanov}, journal = {Econometric Reviews}, year = {2007}, volume = {26}, number = {1}, pages = {53-90}, doi = {10.1080/07474930600972467}, url = {https://doi.org/10.1080/07474930600972467} } @article{econhot_econhot-cited-f828242cbbc48c94, title = {Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas}, author = {Pietro Balestra and Marc Nerlove}, journal = {Econometrica}, year = {1966}, volume = {34}, number = {3}, pages = {585}, doi = {10.2307/1909771}, url = {https://doi.org/10.2307/1909771} } @article{econhot_econhot-cited-011c5cdb79e2a07c, title = {Inferring causal impact using Bayesian structural time-series models}, author = {Kay Henning Brodersen and Fabian Gallusser and Jim Koehler and Nicolas Rémy and Steven L. Scott}, journal = {The Annals of Applied Statistics}, year = {2015}, volume = {9}, number = {1}, doi = {10.1214/14-aoas788}, url = {https://doi.org/10.1214/14-aoas788} }